Job Information
Credit Suisse Quantitative Strategist in New York, New York
Provide quantitative strategy support to the U.S. Macro Trading desk and address any issues with live curve building, pricing, and end-of-day saving. Analyze and monitor the whole structure of USD curve construction, solve issues, and respond to questions regarding base curve and resampling configurations for all business areas. Analyze USD curve and make curve changes according to market moves to achieve more reasonable curve shape and provide better risk view. Maintain USD curve and deliver enhancements based on knowledge of curve models, interest rate instruments and financial mathematics, such as market conventions, interpolation method, and least square fitting for firmwide use. Investigate curve model details in C++ to understand curve behaviors when there are issues. Assess and understand curve change impact across the firm and explain valuation and risk transfers to trading and risk teams. Support and make enhancements to valuation models using F#, add more model parameters, and ensure compatibility with legacy systems. Maintain and develop pricing tools for the swaps desk, re-model pricing logics and add new features to provide more pricing capabilities according to trading needs. Work with quantitative models used for Interest Rate curve building and swap pricing; optimization techniques and financial mathematics; Interest Rate products, models, and markets; and, functional programming languages (including F#) and object-oriented programming languages (including C++).REQUIREMENTS: Master’s degree in Financial Mathematics, Engineering, Physics, or a related field of study, plus two (2) year of experience with quantitative models used for Interest Rate curve building and swap pricing; optimization techniques and financial mathematics; Interest Rate products, models, and markets; and/or, object-oriented programming languages (including C++).The salary range is $150,000 - $225,000 annually, based on various factors such as experience, education, skills, internal & external market data, etc.
Minimum Salary: 150000 Maximum Salary: 225000 Salary Unit: Yearly